Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0554
Annualized Std Dev 0.2813
Annualized Sharpe (Rf=0%) 0.1969

Row

Daily Return Statistics

Close
Observations 5134.0000
NAs 1.0000
Minimum -0.2663
Quartile 1 -0.0072
Median 0.0010
Arithmetic Mean 0.0004
Geometric Mean 0.0002
Quartile 3 0.0081
Maximum 0.1646
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0177
Skewness -0.4349
Kurtosis 16.1743

Downside Risk

Close
Semi Deviation 0.0128
Gain Deviation 0.0127
Loss Deviation 0.0138
Downside Deviation (MAR=210%) 0.0171
Downside Deviation (Rf=0%) 0.0126
Downside Deviation (0%) 0.0126
Maximum Drawdown 0.7626
Historical VaR (95%) -0.0279
Historical ES (95%) -0.0415
Modified VaR (95%) -0.0251
Modified ES (95%) -0.0306
From Trough To Depth Length To Trough Recovery
2000-10-24 2002-10-07 2014-07-01 -0.7626 3428 486 2942
2018-06-15 2018-12-24 2020-06-18 -0.4434 506 133 373
2015-12-02 2016-02-09 2016-07-20 -0.2168 159 47 112
2021-02-17 2021-03-08 NA -0.1525 24 14 NA
2020-09-03 2020-09-08 2020-11-19 -0.1232 55 3 52

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2000 NA NA NA NA NA NA NA NA NA -0.4 1.8 -3.8 -2.4
2001 0.7 1 -0.5 1.6 2.1 1.4 2.7 1.2 -1.4 2 0 -1.4 9.8
2002 -1.6 4.2 1.5 -1.6 0.8 -4.4 -2.9 -0.1 3.4 2.5 0.9 -0.6 1.8
2003 -2.2 2.5 -0.5 -0.2 1.4 -0.6 -0.7 1.2 1.3 -0.4 1.4 0 3.3
2004 0.7 1.4 1.7 -0.8 -0.5 -2 -0.3 0.6 3.2 0.6 1.4 -0.1 6
2005 0.1 1 -0.9 -1.5 0.8 0.1 -0.1 -0.2 0.9 -0.3 1.8 -0.7 0.9
2006 0.2 1.8 -0.2 -0.4 2.1 -0.1 -1.9 -0.1 -0.6 -1.6 -1.5 -0.1 -2.4
2007 0.4 -0.7 -0.1 0.4 0.1 -0.5 0.9 1.2 1.4 -2.1 -1 -1 -1.1
2008 2.9 -2.9 3.7 2.6 1.1 -0.1 -0.1 -2.3 -0.2 -0.2 -6.5 1.4 -1.1
2009 -2.8 -0.2 2.5 0.6 3.9 0.3 0.3 -1.9 -2.8 -2.7 1.6 -0.9 -2.5
2010 1.8 1.8 -0.3 -2.3 -1.4 0 0 3.3 -0.2 -0.3 1.9 -0.1 4.2
2011 2.1 -1.8 0.1 -0.6 -2.1 1.4 -0.5 -1 -2.6 -2.3 1 -0.1 -6.4
2012 2.4 0.3 0.3 0.9 -3.2 3.8 -0.4 0.6 -0.5 1.7 -0.2 2 7.7
2013 1.1 0.5 -0.6 -0.8 -0.5 0.6 1.2 -0.4 0.5 -0.2 0.4 0.3 2
2014 -0.1 -0.6 1.4 0.2 -0.4 1.2 -0.4 0.4 -1.9 2.7 -0.9 -0.2 1.2
2015 0.2 -0.1 -0.8 0.6 0.6 0.3 -0.3 -3.4 0.5 0.3 1.2 -0.7 -1.7
2016 0.8 2.1 0.4 -0.5 -0.1 0.4 0.1 0.2 0.4 -0.7 -3 -0.7 -0.7
2017 -0.1 0.6 0.2 0.9 1 -0.1 0.3 0.5 0.7 -0.2 -0.6 -0.7 2.5
2018 -0.9 -1.6 2.1 0.9 2 0.2 0 0.1 0.6 2.4 1.2 0.9 7.9
2019 0.2 0.4 1.9 -0.5 -1.9 1.8 -1.1 0.1 -0.7 0.9 -0.5 0.3 0.8
2020 -2.1 0.7 -4.6 -3.9 0.3 1.4 0.2 1.5 2 -2.7 1.5 -0.1 -5.9
2021 3.3 3.4 0.8 NA NA NA NA NA NA NA NA NA 7.6

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart